[R] exponential of a matrix

Martin Maechler maechler at stat.math.ethz.ch
Fri Nov 14 19:27:14 CET 2008

>>>>> "MM" == Martin Maechler <maechler at stat.math.ethz.ch>
>>>>>     on Fri, 14 Nov 2008 18:05:54 +0100 writes:

>>>>> "DW" == David Winsemius <dwinsemius at comcast.net>
>>>>>     on Tue, 11 Nov 2008 17:52:18 -0500 writes:

    DW> In 2004 Martyn Plummer said that functionality was
    DW> available in packages msm (as MatrixExp) and Lindsey's
    DW> rmutils (as mexp)

    MM> Well, these two use one of the very dubious ways mentioned below.

oops!  I'm wrong :   MatrixExp() in 'msm',

does, by default (method = "pade") say to use the recommended standard
algorithm (squaring + Pade + scaling).

Last time this came up on the mailing list, for some reason we
had completely overlooked this one ... or it was not yet
available publicly.
My apologies to Chris Jackson, the msm author, whose function
we've overlooked there.

Martin Maechler, ETH Zurich

    DW> David Firth also offered:
    DW> http://www2.warwick.ac.uk/fac/sci/statistics/staff/academic/firth/software/mexp

    MM> yes, and that method (and a slight variation of it which uses
    MM> LAPACK code) is also part of the 'expm' package on R-forge which
    MM> I mentioned in my other reply in this thread (a few minutes
    MM> ago).

    MM> Martin Maechler

    DW> -- David Winsemius

    DW> On Nov 11, 2008, at 5:20 PM, Terry Therneau wrote:

    >>> Is the matrix exponential available in some package?
    >>> The cannonical reference is "Nineteen dubious ways to
    >>> take the exponential of a matrix".  (Love that title)
    >>> Terry T.

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